双跳-扩散过程下的脆弱期权定价

本文考虑含有交易对手违约风险的衍生产品的定价,以公司价值信用风险模型为基础,在标的资产价格和公司价值均服从跳-扩散过程的情况下,运用结构化的方法对脆弱期权定价进行建模,建立了双跳-扩散过程下的脆弱期权定价模型,分别在公司负债固定和随机的情况下推导出了脆弱期权的定价公式.

Vulnerable European Option Pricing for Two Jump-Diffusion Processes

The pricing of the derivatives associated with counterparty default risk is considered.Based on Merton’s structured credit risk model,an explicit pricing formula of vulnerable options was derived when the underlying asset price and corporate value is assumed to follow a jump-diffusion process.A model of vulnerable option pricing is developed when the underlying asset price and corporate value is assumed to follow a jump-diffusion process,then the pricing of vulnerable option is discussed when the corporate liabilities are fixed and random were derived respectively.